Non-Euclidean Conditional Expectation and Filtering
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Geometric probability and stochastic geometry (60D05) Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20) Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60) Filtering in stochastic control theory (93E11)
Abstract: A non-Euclidean generalization of conditional expectation is introduced and characterized as the minimizer of expected intrinsic squared-distance from a manifold-valued target. The computational tractable formulation expresses the non-convex optimization problem as transformations of Euclidean conditional expectation. This gives computationally tractable filtering equations for the dynamics of the intrinsic conditional expectation of a manifold-valued signal and is used to obtain accurate numerical forecasts of efficient portfolios by incorporating their geometric structure into the estimates.
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